Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1109 |
| Annualized Std Dev | 0.2062 |
| Annualized Sharpe (Rf=0%) | 0.5380 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3332.0000 |
| NAs | 1.0000 |
| Minimum | -0.1255 |
| Quartile 1 | -0.0042 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1098 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0130 |
| Skewness | -0.2594 |
| Kurtosis | 11.3786 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0095 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0093 |
| Downside Deviation (0%) | 0.0093 |
| Maximum Drawdown | 0.4892 |
| Historical VaR (95%) | -0.0198 |
| Historical ES (95%) | -0.0322 |
| Modified VaR (95%) | -0.0188 |
| Modified ES (95%) | -0.0297 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-27 | 2009-03-09 | 2011-07-07 | -0.4892 | 889 | 301 | 588 |
| 2020-02-20 | 2020-03-23 | 2020-06-09 | -0.3123 | 77 | 23 | 54 |
| 2018-10-02 | 2018-12-24 | 2019-04-23 | -0.2267 | 139 | 58 | 81 |
| 2011-07-25 | 2011-10-03 | 2012-02-01 | -0.1719 | 133 | 50 | 83 |
| 2015-07-21 | 2016-02-11 | 2016-07-28 | -0.1558 | 259 | 143 | 116 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.9 | -0.9 |
| 2008 | 1.2 | -2.4 | 3 | 1.7 | 0.3 | 0.2 | -0.8 | -1.6 | -1.3 | 1.5 | -7.8 | 1.2 | -5.2 |
| 2009 | -2.3 | -1.5 | 1.6 | 0.5 | 2.4 | 0.2 | -0.1 | -1.6 | -2.4 | -2.2 | 1.2 | -1 | -5.1 |
| 2010 | 1.4 | 0.9 | 0.5 | -1.6 | -1.4 | 0 | 0.1 | 2.9 | 0.2 | 0.2 | 2.1 | -0.1 | 5.1 |
| 2011 | 1.4 | -1.5 | 0.4 | 0.1 | -2.1 | 1.4 | -0.3 | -0.9 | -2.6 | -2.7 | 0.1 | -0.3 | -6.8 |
| 2012 | 0.8 | 0.7 | 0.2 | 0.3 | -2.6 | 2.7 | -0.4 | 0.5 | 0.2 | 1 | 0 | 1.9 | 5.2 |
| 2013 | 1 | 0.4 | -0.5 | -0.6 | -1.4 | 0.9 | 1.2 | -0.5 | 0.8 | 0.2 | 0.1 | 0.6 | 2.1 |
| 2014 | -0.6 | 0.1 | 1.1 | 0.3 | 0.1 | 0.9 | -0.3 | 0.2 | -1.4 | 1.2 | -1 | -0.9 | -0.5 |
| 2015 | -0.9 | -0.4 | -0.4 | 1.2 | 0.3 | 0.8 | -0.2 | -2.8 | 0.4 | -0.4 | 0.9 | -1 | -2.4 |
| 2016 | 0.3 | 2.7 | 0.9 | -0.3 | 0.1 | 0.5 | 0.3 | 0.1 | 0.7 | -0.8 | -1.1 | -0.6 | 2.8 |
| 2017 | 0.5 | 1.3 | -0.1 | 0.4 | 0.6 | 0.2 | 0.2 | 0.1 | 0.5 | 0.1 | -0.3 | -0.4 | 3.3 |
| 2018 | -0.5 | -1.4 | 1.7 | 0.7 | 1.2 | 0.1 | 0.4 | 0.1 | 0.4 | 1.4 | 0.7 | 0.9 | 5.8 |
| 2019 | -0.2 | 0.9 | 1.1 | -0.6 | -1.4 | 1 | -0.5 | -0.2 | -1.3 | 0.9 | -0.3 | 0.2 | -0.6 |
| 2020 | -1.7 | 0.4 | -4.5 | -2.7 | 0.7 | 1.2 | 1.6 | 1.5 | 1.4 | -2.1 | 1.3 | 0.2 | -2.9 |
| 2021 | 2.4 | 2.7 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-12-21 50.5 SPY 148. 0.0143 0.0118 0.051 -0.0184 0.0476 0.237 0.670 GLD 80.1 0.0182 0.0201
2 2007-12-24 50.9 SPY 149. 0.0074 0.0287 0.0354 -0.0143 0.0537 0.237 0.658 GLD 80.1 0.0005 0.0257
3 2007-12-26 50.9 SPY 150. 0.0021 0.0252 0.061 -0.0173 0.0625 0.238 0.661 GLD 81.5 0.0172 0.0286
4 2007-12-27 50.5 SPY 148. -0.0126 0.0123 0.0358 -0.0354 0.043 0.225 0.653 GLD 81.6 0.0005 0.0293
5 2007-12-28 50.4 SPY 147. -0.0025 0.0034 0.00120 -0.0346 0.0336 0.216 0.648 GLD 83 0.0177 0.055
6 2007-12-31 50.0 SPY 146. -0.0074 -0.013 -0.0066 -0.0524 0.0281 0.205 0.673 GLD 82.5 -0.0065 0.0295
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
